Assessing convergence of the Markov chain Monte Carlo method in multivariate case

Registro completo de metadados
MetadadosDescriçãoIdioma
Autor(es): dc.creatorNogueira, Denismar Alves-
Autor(es): dc.creatorSafadi, Thelma-
Autor(es): dc.creatorFerreira, Daniel Furtado-
Autor(es): dc.creatorFerreira, Eric Batista-
Data de aceite: dc.date.accessioned2026-02-09T11:48:03Z-
Data de disponibilização: dc.date.available2026-02-09T11:48:03Z-
Data de envio: dc.date.issued2017-09-04-
Data de envio: dc.date.issued2017-09-04-
Data de envio: dc.date.issued2012-
Fonte completa do material: dc.identifierhttps://repositorio.ufla.br/handle/1/15334-
Fonte completa do material: dc.identifierhttp://thescipub.com/abstract/10.3844/jmssp.2012.471.480-
Fonte: dc.identifier.urihttp://educapes.capes.gov.br/handle/capes/1147741-
Descrição: dc.descriptionThe formal convergence diagnosis of the Markov Chain Monte Carlo (MCMC) is made using univariate and multivariate criteria. In 1998, a multivariate extension of the univariate criterion of multiple sequences was proposed. However, due to some problems of that multivariate criterion, an alternative form of calculation was proposed in addition to the two new alternatives for multivariate convergence criteria. In this study, two models were used, one related to time series with two interventions and ARMA (2, 2) error and another related to a trivariate normal distribution, considering three different cases for the covariance matrix. In both the cases, the Gibbs sampler and the proposed criteria to monitor the convergence were used. Results revealed the proposed criteria to be adequate, besides being easy to implement.-
Idioma: dc.languageen-
Publicador: dc.publisherScience Publications-
Direitos: dc.rightsrestrictAccess-
???dc.source???: dc.sourceJournal of Mathematics and Statistics-
Palavras-chave: dc.subjectConvergence criterion-
Palavras-chave: dc.subjectGibbs sampler-
Palavras-chave: dc.subjectBayesian inference-
Palavras-chave: dc.subjectMarkov Chain Monte Carlo-
Palavras-chave: dc.subjectCritério de convergência-
Palavras-chave: dc.subjectAmostra de Gibbs-
Palavras-chave: dc.subjectInferência bayesiana-
Palavras-chave: dc.subjectCadeia de Markov Monte Carlo-
Título: dc.titleAssessing convergence of the Markov chain Monte Carlo method in multivariate case-
Tipo de arquivo: dc.typeArtigo-
Aparece nas coleções:Repositório Institucional da Universidade Federal de Lavras (RIUFLA)

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